Business cycles, trend elimination, and the HP filter
Trend elimination and business cycle estimation are analyzed by finite sample and asymptotic methods. An overview history is provided, operator theory is developed, limit theory as the sample size n → ∞ is derived, and filtered series properties are studied relative to smoothing parameter (λ) behavi...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2021
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2423 https://ink.library.smu.edu.sg/context/soe_research/article/3422/viewcontent/BusinessCycles_HPfilter_av.pdf |
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| Institution: | Singapore Management University |
| Language: | English |